Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1107
Annualized Std Dev 0.4206
Annualized Sharpe (Rf=0%) -0.2633

Row

Daily Return Statistics

Close
Observations 3478.0000
NAs 1.0000
Minimum -0.3644
Quartile 1 -0.0089
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0005
Quartile 3 0.0089
Maximum 0.2983
SE Mean 0.0004
LCL Mean (0.95) -0.0010
UCL Mean (0.95) 0.0008
Variance 0.0007
Stdev 0.0265
Skewness -0.0106
Kurtosis 30.2180

Downside Risk

Close
Semi Deviation 0.0187
Gain Deviation 0.0220
Loss Deviation 0.0222
Downside Deviation (MAR=210%) 0.0228
Downside Deviation (Rf=0%) 0.0188
Downside Deviation (0%) 0.0188
Maximum Drawdown 0.9223
Historical VaR (95%) -0.0323
Historical ES (95%) -0.0625
Modified VaR (95%) -0.0276
Modified ES (95%) -0.0276
From Trough To Depth Length To Trough Recovery
2007-06-04 2020-03-19 NA -0.9223 3475 3222 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.5 0 -2.6 5.6 -0.6 -1.3 2.8 -0.7 3.6
2008 2.3 -0.6 2.4 0 -0.1 -1.9 2.5 0.4 2.1 3.1 -7.3 4.8 7.5
2009 -1.9 -4.5 10.8 2.4 2.4 -0.2 0.6 -1 -0.9 -1.4 2.3 0.7 8.8
2010 1 2 0.6 -2.6 4.2 -4 -0.3 6 -0.4 0.5 0.8 -0.4 7.2
2011 0.6 -0.1 -1.3 0.4 0.5 1.7 -0.7 -2.7 -1.5 -2.6 2.1 -0.3 -4.1
2012 1.7 -0.1 1 1 -3 1.2 -0.4 2.3 0 1 1.3 -0.8 5.2
2013 1.7 0.7 0.1 -0.5 0.7 0 0.2 1.7 -1 -1.5 1.7 -0.7 3.1
2014 0.9 0.8 0 0.2 0.3 0.6 3 1.1 -2.3 1.5 -1.4 -6.7 -2.3
2015 -1.3 1.4 0.4 0.5 -0.3 0.8 0.7 -1.1 0.9 -1.7 1.5 0 1.7
2016 -1.8 7.3 -0.2 1 -2.2 0.8 0.1 -0.7 2.2 0.4 0.1 -1.7 5.3
2017 0 -2.7 -1.8 0.1 -1.4 0.1 0.1 0.4 0.9 -1.1 -1.1 -0.6 -6.8
2018 -1.3 -0.8 1.9 0 -1.9 -0.5 1.3 -1.3 -0.6 1.8 1.7 -1.9 -1.8
2019 -0.7 -0.3 -1.1 0.3 -0.7 -0.6 -0.5 0.5 0.8 1.1 0.5 0.8 0.2
2020 -0.1 -8.2 -11.1 -5.2 4.6 0.6 -1.7 -1.5 2.2 -2.9 -0.6 -0.6 -22.8
2021 5.2 0 -0.5 NA NA NA NA NA NA NA NA NA 4.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-05-25  20   SPY    152.  0.0042 -0.0061    0.0136   0.0449    0.202    0.376    0.378 GLD    64.9  0.00290  -0.0089
2 2007-05-29  20.2 SPY    152.  0.0036 -0.002     0.0181   0.0913    0.192    0.361    0.401 GLD    65.1  0.002    -0.0091
3 2007-05-30  20.3 SPY    153.  0.0081  0.007     0.035    0.0891    0.196    0.367    0.420 GLD    64.7 -0.0054   -0.0077
4 2007-05-31  20.5 SPY    153. -0.001   0.00580   0.0313   0.0912    0.216    0.358    0.429 GLD    65.5  0.0127    0     
5 2007-06-01  20.6 SPY    154.  0.005   0.02      0.0304   0.111     0.208    0.365    0.44  GLD    66.4  0.0137    0.0261
6 2007-06-04  20.5 SPY    154.  0.0001  0.0159    0.0249   0.122     0.197    0.367    0.437 GLD    66.5  0.0015    0.0246
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart